Structural time series modeling: A Bayesian approach

DOI10.1016/0096-3003(86)90012-3zbMath0632.62109OpenAlexW2037335193MaRDI QIDQ1095558

Jean-Pierre Florens, Jean-Francois Richard, Michel Mouchart

Publication date: 1986

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0096-3003(86)90012-3

zbMATH Keywords

innovationexogeneitynoncausalitycomputable posterior distributionsLinearityspecification of linear dynamic modelsstructural time series modeling

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Sequential statistical analysis (62L10)

Related Items (1)

Testing exogeneity in overidentified models

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